Performance of GARCH models in forecasting stock market volatility.
This paper studies the performance of GARCH model and its modifications, using the rate of returns from the daily stock market indices of the Kuala Lumpur Stock Exchange (KLSE) including Composite Index, Tins Index, Plantations Index, Properties Index, and Finance Index. The models are stationary G...
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| Format: | Article |
| Language: | English English English |
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John Wiley and Sons
1999
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| Online Access: | http://psasir.upm.edu.my/id/eprint/16140/1/Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf http://psasir.upm.edu.my/id/eprint/16140/7/Journal%20of%20Forecasting%20-%201999%20-%20Chong%20-%20Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf |
| _version_ | 1825945757881991168 |
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| author | Choo, Wei Chong Ahmad, Muhammad Idrees Abdullah, Mat Yusoff |
| author_facet | Choo, Wei Chong Ahmad, Muhammad Idrees Abdullah, Mat Yusoff |
| author_sort | Choo, Wei Chong |
| collection | UPM |
| description | This paper studies the performance of GARCH model and its modifications, using the rate of returns from the daily stock market indices of the Kuala Lumpur Stock Exchange (KLSE) including Composite Index, Tins Index, Plantations Index, Properties Index, and Finance Index. The models
are stationary GARCH, unconstrained GARCH, non-negative GARCH, GARCH-M, exponential GARCH and integrated GARCH. The parameters of these models and variance processes are estimated jointly using the maximum likelihood method. The performance of the within-sample estimation is diagnosed using several goodness-of-fit statistics. We observed
that, among the models, even though exponential GARCH is not the best model in the goodness-of-fit statistics, it performs best in describing the often-observed skewness in stock market indices and in out-of-sample (one-step-ahead) forecasting. The integrated GARCH, on the other hand, is the
poorest model in both respects. |
| first_indexed | 2024-03-06T07:36:27Z |
| format | Article |
| id | upm.eprints-16140 |
| institution | Universiti Putra Malaysia |
| language | English English English |
| last_indexed | 2024-09-25T03:33:11Z |
| publishDate | 1999 |
| publisher | John Wiley and Sons |
| record_format | dspace |
| spelling | upm.eprints-161402024-08-02T06:37:47Z http://psasir.upm.edu.my/id/eprint/16140/ Performance of GARCH models in forecasting stock market volatility. Choo, Wei Chong Ahmad, Muhammad Idrees Abdullah, Mat Yusoff This paper studies the performance of GARCH model and its modifications, using the rate of returns from the daily stock market indices of the Kuala Lumpur Stock Exchange (KLSE) including Composite Index, Tins Index, Plantations Index, Properties Index, and Finance Index. The models are stationary GARCH, unconstrained GARCH, non-negative GARCH, GARCH-M, exponential GARCH and integrated GARCH. The parameters of these models and variance processes are estimated jointly using the maximum likelihood method. The performance of the within-sample estimation is diagnosed using several goodness-of-fit statistics. We observed that, among the models, even though exponential GARCH is not the best model in the goodness-of-fit statistics, it performs best in describing the often-observed skewness in stock market indices and in out-of-sample (one-step-ahead) forecasting. The integrated GARCH, on the other hand, is the poorest model in both respects. John Wiley and Sons 1999 Article PeerReviewed text en http://psasir.upm.edu.my/id/eprint/16140/1/Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf text en http://psasir.upm.edu.my/id/eprint/16140/7/Journal%20of%20Forecasting%20-%201999%20-%20Chong%20-%20Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf Choo, Wei Chong and Ahmad, Muhammad Idrees and Abdullah, Mat Yusoff (1999) Performance of GARCH models in forecasting stock market volatility. Journal of Forecasting, 18 (5). pp. 333-343. ISSN 1099-131X http://ehis.ebscohost.com/eds/pdfviewer/pdfviewer?sid=f49af050-ffd8-45ca-881c-b6037c31e530%40sessionmgr14&vid=1&hid=22 Finance - Mathematical models Stock price forecasting - Mathematical models. Investments - Mathematical models. English |
| spellingShingle | Finance - Mathematical models Stock price forecasting - Mathematical models. Investments - Mathematical models. Choo, Wei Chong Ahmad, Muhammad Idrees Abdullah, Mat Yusoff Performance of GARCH models in forecasting stock market volatility. |
| title | Performance of GARCH models in forecasting stock market volatility. |
| title_full | Performance of GARCH models in forecasting stock market volatility. |
| title_fullStr | Performance of GARCH models in forecasting stock market volatility. |
| title_full_unstemmed | Performance of GARCH models in forecasting stock market volatility. |
| title_short | Performance of GARCH models in forecasting stock market volatility. |
| title_sort | performance of garch models in forecasting stock market volatility |
| topic | Finance - Mathematical models Stock price forecasting - Mathematical models. Investments - Mathematical models. |
| url | http://psasir.upm.edu.my/id/eprint/16140/1/Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf http://psasir.upm.edu.my/id/eprint/16140/7/Journal%20of%20Forecasting%20-%201999%20-%20Chong%20-%20Performance%20of%20GARCH%20models%20in%20forecasting%20stock%20market%20volatility.pdf |
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